Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0906
Annualized Std Dev 0.2735
Annualized Sharpe (Rf=0%) 0.3312

Row

Daily Return Statistics

Close
Observations 3791.0000
NAs 1.0000
Minimum -0.1974
Quartile 1 -0.0065
Median 0.0010
Arithmetic Mean 0.0005
Geometric Mean 0.0003
Quartile 3 0.0079
Maximum 0.4313
SE Mean 0.0003
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0010
Variance 0.0003
Stdev 0.0172
Skewness 3.3726
Kurtosis 111.5766

Downside Risk

Close
Semi Deviation 0.0118
Gain Deviation 0.0141
Loss Deviation 0.0130
Downside Deviation (MAR=210%) 0.0160
Downside Deviation (Rf=0%) 0.0115
Downside Deviation (0%) 0.0115
Maximum Drawdown 0.6492
Historical VaR (95%) -0.0228
Historical ES (95%) -0.0380
Modified VaR (95%) NA
Modified ES (95%) -0.3498
From Trough To Depth Length To Trough Recovery
2008-09-19 2009-03-06 2012-09-13 -0.6492 1005 116 889
2018-09-04 2020-03-23 2020-12-15 -0.4592 576 390 186
2007-07-16 2008-07-15 2008-09-18 -0.2364 294 248 46
2015-06-24 2016-02-11 2016-08-30 -0.2222 300 161 139
2006-05-10 2006-07-21 2006-11-20 -0.1349 124 44 80

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2005 NA NA NA NA NA NA NA NA NA NA 1.3 -1.2 0.2
2006 0.5 0.2 1.3 -0.5 1.8 0.4 -1.1 0.2 -0.8 -1.4 -0.2 -0.9 -0.5
2007 0.6 -0.5 0.1 -0.2 0.8 0.2 -0.7 1.5 1.3 -3.5 0.7 -0.4 -0.1
2008 2.8 -2.7 3.2 1.7 0.2 0.1 0.2 -1 -1.2 2.3 -9.9 5.3 0.1
2009 -2 -0.8 1.3 1.3 4.7 1.3 0.4 -2.8 -3.3 -2.7 1.5 -0.8 -2.3
2010 1.1 1.7 0.4 -2.7 -3.2 -0.6 1.5 3.9 -0.3 -0.4 2.2 -1.3 2
2011 1.8 -1.5 0.5 0.2 -1.3 1.7 -1 -1.9 -0.6 -3.6 0.2 -0.5 -6
2012 2 0.2 0 -0.2 -2.8 3 -1.7 0.4 0.3 1 -0.8 1.6 2.9
2013 1.1 0.5 -1.2 -2.2 -1 1.2 1.2 -1.4 1 -0.8 0.1 -0.1 -1.6
2014 -0.4 -0.5 1 -0.2 -0.5 1.4 0 0.5 -1.5 1.7 -2.2 -0.9 -1.6
2015 -1.8 0 -0.3 0.5 0 0.2 0.7 -2.9 -0.1 -0.3 0.3 -1.3 -4.9
2016 -0.4 2.1 0.2 -0.4 0.6 0.3 -0.1 -0.4 0.8 -1.5 -0.4 -0.2 0.6
2017 -0.1 1.7 0.1 0.6 1.7 -0.1 0.3 0.8 0.1 -0.5 -0.8 -0.6 3.2
2018 0.4 -0.5 0.7 0.5 0.5 -0.2 -0.1 0.5 -1.6 1.9 0.8 0.5 3.4
2019 -0.1 0.5 1.3 -0.9 -1.4 0.2 -1.6 -0.2 -1.9 1.6 -0.7 0.2 -2.9
2020 -2.3 -1.5 -7 -4.1 1.2 -1.4 -0.7 1.2 1.3 -1.4 1.3 0.1 -12.8
2021 1.9 3 0.4 NA NA NA NA NA NA NA NA NA 5.3

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld  ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>  <dbl>    <dbl>
1 2005-11-16  26.2 SPY    123.  0.002    0.009     0.0481   0.0106   0.0414    0.351  -0.118  GLD    47.8 0.024    0.0262
2 2005-11-17  26.7 SPY    125.  0.00930  0.0105    0.0406   0.0177   0.0497    0.378  -0.0877 GLD    48.5 0.0147   0.043 
3 2005-11-21  27.0 SPY    126.  0.005    0.0167    0.0646   0.0288   0.0659    0.362  -0.0961 GLD    49.0 0.0109   0.0508
4 2005-11-22  27.3 SPY    126.  0.0043   0.0248    0.0529   0.0425   0.0689    0.342  -0.095  GLD    49.3 0.0067   0.057 
5 2005-12-05  27.4 SPY    127. -0.0021   0.0028    0.0352   0.0233   0.0618    0.369  -0.0532 GLD    50.8 0.0091   0.0209
6 2005-12-06  27.7 SPY    127.  0.0019   0.00580   0.0386   0.0235   0.0738    0.387  -0.0496 GLD    50.9 0.0022   0.0219
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart